Is packaging this works out-of-the-box? I read what you recommended:
http://www.gnustep.org/experience/Windows.html
there it says a method of how to generate an installer package, but from
the context and the example (calculator) I had the impression the
installer package is to install the application only -- the user has to
install GNUstep MSYS System plus GNUstep Core before able to use such an
application installer, right?

Correct. It is a bit like a .NET application that requires you to
install the framework before. It is then shared with other applications

Is there a way to deploy a single GNUStep application to Windows
audience that works with one package, works almost out-of-the-box?

Installing the libraries as shared is desirable if more than one
application has to be installed and it can also make updates easier.
Java, .NET, wxWidgets all do install a sperate package form the application.

It is possible to make one single self-contained application (like
iTunes or Safari on windows do) but I don't think it is done with
standard tools. I never did it.